Asymptotic analysis via Mellin transforms for small deviations in L2-norm of integrated Brownian sheets

被引：16

作者：

Fill, JA ^{[1
]}

Torcaso, F ^{[1
]}

机构：

[1] Johns Hopkins Univ, Dept Appl Math & Stat, Baltimore, MD 21218 USA

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2004年 / 130卷 / 02期

关键词：

asymptotics; integrated Brownian sheet; Mellin transform; harmonic sum; generalized Dirichlet series; small deviations; reversion;

D O I：

10.1007/s00440-004-0363-x

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We use Mellin transforms to compute a full asymptotic expansion for the tail of the Laplace transform of the squared L-2-norm of any multiply-integrated Brownian sheet. Through reversion we obtain corresponding strong small-deviation estimates.

引用

页码：259 / 288

页数：30

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